+COMMISSION DELEGATED REGULATION (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) (Text with EEA relevance)
---+CHAPTER I GENERAL PROVISIONS
------+Article 1 Methodology for calculating Additional Valuation Adjustments (AVAs)
------+Article 2 Definitions
------+Article 3 Sources of market data
---------+Article 3 1.
---------+Article 3 2.
---------+Article 3 3.
---+CHAPTER II SIMPLIFIED APPROACH FOR THE DETERMINATION OF AVAs
------+Article 4 Conditions for use of the simplified approach
---------+Article 4 1.
---------+Article 4 2.
---------+Article 4 3.
---------+Article 4 4.
------+Article 5 Determination of AVAs under the simplified approach
------+Article 6 Determination of total AVAs calculated under the simplified approach
---+CHAPTER III CORE APPROACH FOR THE DETERMINATION OF AVAs
------+Article 7 Overview of the core approach
---------+Article 7 1.
---------+Article 7 2.
------+Article 8 General provisions for the calculations of AVAs under the core approach
---------+Article 8 1.
---------+Article 8 2.
---------+Article 8 3.
---------+Article 8 4.
------+Article 9 Calculation of market price uncertainty AVA
---------+Article 9 1.
---------+Article 9 2.
---------+Article 9 3.
---------+Article 9 4.
---------+Article 9 5.
---------+Article 9 6.
------+Article 10 Calculation of close-out costs AVA
---------+Article 10 1.
---------+Article 10 2.
---------+Article 10 3.
---------+Article 10 4.
---------+Article 10 5.
---------+Article 10 6.
---------+Article 10 7.
------+Article 11 Calculation of model risk AVA
---------+Article 11 1.
---------+Article 11 2.
---------+Article 11 3.
---------+Article 11 4.
---------+Article 11 5.
---------+Article 11 6.
---------+Article 11 7.
------+Article 12 Calculation of unearned credit spreads AVA
---------+Article 12 1.
---------+Article 12 2.
------+Article 13 Calculation of investing and funding costs AVA
---------+Article 13 1.
---------+Article 13 2.
------+Article 14 Calculation of concentrated positions AVA
---------+Article 14 1.
---------+Article 14 2.
---------+Article 14 3.
------+Article 15 Calculation of future administrative costs AVA
---------+Article 15 1.
---------+Article 15 2.
---------+Article 15 3.
---------+Article 15 4.
------+Article 16 Calculation of early termination AVA
------+Article 17 Calculation of operational risk AVA
---------+Article 17 1.
---------+Article 17 2.
---------+Article 17 3.
---+CHAPTER IV DOCUMENTATION, SYSTEMS AND CONTROLS
------+Article 18 Documentation requirements
---------+Article 18 1.
---------+Article 18 2.
---------+Article 18 3.
------+Article 19 Systems and controls requirements
---------+Article 19 1.
---------+Article 19 2.
---------+Article 19 3.
---+CHAPTER V FINAL PROVISIONS
------+Article 20 Entry into force
---+ANNEX Formulae to be used for the purpose of aggregating AVAs under Article 9(6), Article 10(7) and Article 11(7)
 English - European Union - Financial Industry -

COMMISSION DELEGATED REGULATION (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) (Text with EEA relevance)

COMMISSION DELEGATED REGULATION (EU) 2016/101

of 26 October 2015

supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14)

(Text with EEA relevance)

This Regulation shall be binding in its entirety and directly applicable in all Member States.

1. Přehled

,
CHAPTER I GENERAL PROVISIONS CHAPTER I GENERAL PROVISIONS
CHAPTER II SIMPLIFIED APPROACH FOR THE DETERMINATION OF AVAs CHAPTER II SIMPLIFIED APPROACH FOR THE DETERMINATION OF AVAs
CHAPTER III CORE APPROACH FOR THE DETERMINATION OF AVAs CHAPTER III CORE APPROACH FOR THE DETERMINATION OF AVAs
CHAPTER IV DOCUMENTATION, SYSTEMS AND CONTROLS CHAPTER IV DOCUMENTATION, SYSTEMS AND CONTROLS
CHAPTER V FINAL PROVISIONS CHAPTER V FINAL PROVISIONS
ANNEX Formulae to be used for the purpose of aggregating AVAs under Article 9(6), Article 10(7) and Article 11(7)



ANNEX

Formulae to be used for the purpose of aggregating AVAs under Article 9(6), Article 10(7) and Article 11(7)

Formula for Method 1



APVA

=

(FV – PV) – α · (FV – PV)

= (1 – α) · (FV – PV)

AVA

=

Σ APVA

Formula for Method 2



APVA

=

max {0, (FV – PV) – α · (EV – PV)}

= max {0, FV – α · EV – (1 – α) · PV}

AVA

=

Σ APVA

Where:

FV

=

The valuation exposure-level fair value after any accounting adjustment applied in the institution’s fair value that can be identified as addressing the same source of valuation uncertainty as the relevant AVA,

PV

=

The valuation exposure-level prudent value determined in accordance with this Regulation,

EV

=

The expected value at a valuation exposure level taken from a range of possible values,

α

=

The aggregation factor,

APVA

=

The valuation exposure-level AVA after adjusting for aggregation,

AVA

=

The total category-level AVA after adjusting for aggregation.

Institutions shall set the aggregation factor ‘α’ at 66 % until 31 December 2020, after which they shall set the aggregation factor at 50 %.’

1.1 Odkazy

1.2 Identifikované požadavky

1.3 Související standardy

2. Identifikované požadavky

Požadavky

3. Související standardy

Standardy

Propojené úkoly

Vazby
is related to Imported: Delegierte Verordnung (EU) 2016/101 (RTS vorsichtige Bewertung) (CELEX:02016R0101-20200626)